The credit risk(+) model with general sector correlations

Deshpande, Amogh and Iyer, Srikanth K (2009) The credit risk(+) model with general sector correlations. In: Central European Journal of Operations Research, 17 (2). pp. 219-228.

PDF fulltext.pdf - Published Version Restricted to Registered users only Download (138kB) | Request a copy

Abstract

We consider an enhancement of the credit risk+ model to incorporate correlations between sectors. We model the sector default rates as linear combinations of a common set of independent variables that represent macro-economic variables or risk factors. We also derive the formula for exact VaR contributions at the obligor level.

Item Type:	Journal Article
Publication:	Central European Journal of Operations Research
Publisher:	Springer
Additional Information:	Copyright of this article belongs to Springer.
Keywords:	Credit risk(+);Compound gamma distribution;Value at risk;Risk contribution;Correlation;Portfolio loss distribution;Moment generating function.
Department/Centre:	Division of Physical & Mathematical Sciences > Mathematics
Date Deposited:	15 Jul 2009 04:14
Last Modified:	19 Sep 2010 05:35
URI:	http://eprints.iisc.ac.in/id/eprint/21010

Actions (login required)

View Item